Which continuous-time model is most appropriate for exchange rates?
Year of publication: |
December 2015
|
---|---|
Authors: | Erdemlioglu, Deniz ; Laurent, Sébastien ; Neely, Christopher J. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 256-268
|
Subject: | Exchange rates | Brownian motion | Volatility | Jumps | Intraday periodicity | High-frequency data | Volatilität | Wechselkurs | Exchange rate | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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